Login / Signup

Data-Driven Distributionally Robust CVaR Portfolio Optimization Under A Regime-Switching Ambiguity Set.

Chi Seng PunTianyu WangZhenzhen Yan
Published in: Manuf. Serv. Oper. Manag. (2023)
Keyphrases
  • robust optimization
  • portfolio optimization
  • data driven
  • risk measures
  • portfolio selection
  • bi objective
  • feature extraction
  • lot sizing
  • stochastic programming